Supporting materials for "The Econometrics of the Hodrick-Prescott Filter", by Robert M. de Jong and Neslihan Sakarya


Accompanying the text of our paper and web appendix "The Econometrics of the Hodrick-Prescott Filter", we have provided the following files:

(1) ComparingHpf_and_OurHpf.m: Matlab program that verifies correctness of the HP filter representation of Theorem 1
 (1a) ComparisonHPf_and_OurHPf_1.txt: Output of this Matlab program for T=180 and lambda=1600
 (1b) ComparisonHPf_and_OurHPf_2.txt: Output of this Matlab program for T=50 and lambda=6.25
 (1c) ComparisonHPf_and_OurHPf_3.txt: Output of this Matlab program for T=10 and lambda=1

(2) Table_Xi_Phi.m: Matlab program used for creating Table 1 and Table 2 of Appendix 1
  (2a) Tables_Xi_Phi.txt Output of this Matlab program

(3) triple_difference_proof.pdf: Derivation of the triple difference formulas of Lemma 4 in Appendix 2

(4) triple_equivalence_proof.m: Matlab program demonstrating correctness of the triple difference formulas of Lemma 4 in Appendix 2
 (4a) TripleEquivalence_1.txt: Output of this Matlab program for T=180 and lambda=1600
 (4b) TripleEquivalence_2.txt: Output of this Matlab program for T=50 and lambda=6.25
 (4c) TripleEquivalence_3.txt: Output of this Matlab program for T=10 and lambda=1

(5) TheGraphFor_f.m: Matlab program for calculating function values for the f function; used for creating Figure 1 in Appendix 1; also used for calculating the spreadsheet below

(6) TheGraphFor_g.m: Matlab program for calculating function values for the g function; used for creating Figure 2 in Appendix 1; also used for calculating the spreadsheet below

(7) functionvalues_hp.xlsx: Spreadsheet of function values for the f and g functions for various values of T and lambda
